Ancel, Esther Weinstock; Rao, Ramesh K S - In: Journal of Financial Research 13 (1990) 3, pp. 173-85
This study is an investigation of estimates of expected stock returns implicit in option data. The Lee-Rao-Auchmuty option valuation model provides a unique opportunity to examine whether return measurements derived by nonlinear estimation techniques show any correlation with future stock...